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Information costs and liquidity effects from changes in the FTSE 100 List
Gregoriou, Andros; Ioannidis, Christos - In: The European journal of finance 12 (2006) 4, pp. 347-360
Persistent link: https://www.econbiz.de/10003338142
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Heterogenous time varying transaction costs and asset pricing in international equity markets
Gregoriou, Andros; Ioannidis, Christos; Ghosh, Sugata - In: Financial markets and portfolio management 23 (2009) 3, pp. 271-283
Persistent link: https://www.econbiz.de/10003889906
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Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs : evidence from the UK stock market
Gregoriou, Andros; Ioannidis, Christos - In: Empirical economics : a journal of the Institute for … 32 (2007) 1, pp. 19-39
Persistent link: https://www.econbiz.de/10003458727
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Hedging under the influence of transaction costs : an empirical investigation on FTSE 100 index options
Gregoriou, Andros; Healy, Jerome; Ioannidis, Christos - In: The journal of futures markets 27 (2007) 5, pp. 471-494
Persistent link: https://www.econbiz.de/10003493098
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Hedging under the influence of transaction costs: An empirical investigation on FTSE 100 index options
Gregoriou, Andros; Healy, Jerome; Ioannidis, Christos - In: The journal of futures markets 27 (2007) 5, pp. 471-494
Persistent link: https://www.econbiz.de/10007613553
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Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market
Gregoriou, Andros; Ioannidis, Christos - In: Empirical economics : a journal of the Institute for … 32 (2007) 1, pp. 19-40
Persistent link: https://www.econbiz.de/10007720922
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Asset pricing under the presence of transactions costs : evidence from the UK stock market
Gregoriou, Andros; Ioannidis, Christos - In: Ekonomia : the journal of the Cyprus Economic Society 7 (2004) 2, pp. 139-151
Persistent link: https://www.econbiz.de/10009914114
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Information costs and liquidity effects from changes in the FTSE 100 list
Gregoriou, Andros; Ioannidis, Christos - In: The European journal of finance 12 (2006) 4, pp. 347-360
Persistent link: https://www.econbiz.de/10007265223
Cover Image
Heterogeneous time varying transaction costs and asset pricing in international equity markets
Gregoriou, Andros; Ioannidis, Christos; Ghosh, Sugata - In: Financial markets and portfolio management 23 (2009) 3, pp. 271-283
Persistent link: https://www.econbiz.de/10008305488
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Heterogeneous Time Varying Transaction Costs and Asset Pricing in International Equity Markets
Gregoriou, Andros - 2010
In this paper, we examine the time variation in transaction costs relative to excess returns, in a panel consisting of 10 international equity indices over the time period 1984–2005. This is undertaken by extending the consumption CAPM (CCAPM) model proposed by Campbell and Shiller (Rev....
Persistent link: https://www.econbiz.de/10013142109